We study the non-equilibrium dynamics of two particles confined in two spatially separated harmonic potentials and linearly coupled to the same thermally fluctuating scalar field, a cartoon for optically trapped colloids in contact with a medium close to a continuous phase transition. When an external periodic driving is applied to one of these particles, a non-equilibrium periodic state is eventually reached in which their motion synchronizes thanks to the field-mediated effective interaction, a phenomenon already observed in experiments. We fully characterize the nonlinear response of the second particle as a function of the driving frequency, and in particular far from the adiabatic regime in which the field can be assumed to relax instantaneously. We compare the perturbative, analytic solution to its adiabatic approximation, thus determining the limits of validity of the latter, and we qualitatively test our predictions against numerical simulations.